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Implementing a stochastic model for oil futures prices
(ELSEVIER SCIENCE BV, 2003)
This paper develops a parsimonious three-factor model of the term structure of oil futures prices that can be easily estimated from available futures price data. In addition, it proposes a new simple spreadsheet implementation ...
Predicting the future price of a commodity using the OWMA operator: An approximation of the interest rate and inflation in the brown pastusa potato price
(Journal of Intelligent and Fuzzy Systems, 2022)
Futures contracts pricing and futures price unbiasedness (FPU) hypothesis: Argentinean wheat market
(Universidad Torcuato Di Tella, 1998)
This paper tested an arbitrage pricing model for futures contracts on commodities with storage costs. We found that this method proves to be very accurate in describing the behaviour of futures prices for wheat at the ...
Investor demand and spot commodity prices
(ELSEVIER SCI LTD, 2011)
The on-going debate over the influence of investor demand on spot commodity prices largely attempts to assess this influence by measuring the growth in investor demand in recent years. Given the serious data problems that ...
A multicommodity model of futures prices: using futures prices of one commmodity to estimate the stochastic process of another
(JOHN WILEY & SONS INC, 2008)
This article proposes a multicommodity model of futures prices of more than one commodity that allows the use of long-maturity futures prices available for one commodity to estimate futures prices for the other. The model ...
A tale of two coffees? Analysing interaction and futures market efficiency
Purpose: The purpose of this paper is to assess the informational efficiency of Arabica (other milds) and Robusta coffee futures markets in terms of predicting future coffee spot prices. Design/methodology/approach: Futures ...
Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange
(Escola de Pós-Graduação em Economia da FGV, 2006-11-01)
This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick ...
Predicting the future price of a commodity using the OWMA operator: An approximation of the interest rate and inflation in the brown pastusa potato price
(Journal of Intelligent and Fuzzy Systems, 2022)